Title of article
A limit theorem for occupation times of fractional Brownian motion
Author/Authors
Kasahara، نويسنده , , Y. and Kosugi، نويسنده , , N.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
15
From page
161
To page
175
Abstract
Recently, N. Kôno gave a limit theorem for occupation times of fractional Brownian motion, which result generalizes the well-known Kallianpur-Robbins law for two-dimensional Brownian motion. This paper studies a functional limit theorem for Kônoʹs result. It is proved that, under a suitable normalization, the limiting process is the inverse of an extremal process.
Keywords
Fractional Brownian motion , Exponential distribution , Extremal process , Occupation times
Journal title
Stochastic Processes and their Applications
Serial Year
1997
Journal title
Stochastic Processes and their Applications
Record number
1576045
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